A few days ago, an icon appeared on the status bar of my Nexus 5 (Lollipop 5.1.1). I couldn't understand why it was there and what it tried to indicate. After some time of not touching my phone, the icon disappeared by itself.

The icon in question is the one between the signal strength and the BT icons (2nd from the right).

That icon is the icon to show that Do Not Disturb mode is enabled. It shows when you activate it by pressing volume down and choosing none. The reason it disappeared is because you can choose how long it stays in Do Not Disturb Mode. This feature is new in Lollipop (5.0).